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I have a new Mac mini (2018) running Catalina 10.15.1.
It is racked and connected via ethernet to my router (Ubiquiti USG, through a Uniquiti Switch). I have WiFi turned Off.
I have "Screen Sharing", "File Sharing", and "Remote Login" turned on in Sharing.
When I boot the Mac mini with no monitor plugged in, it never appears on the network and eventually just shuts off. It appears that the Mac mini just does not actually connect (and get assigned an IP), until you make it past the log-in screen.
Now, I have a different Mac mini (2012) running Mojave with basically identical settings that connects to the network just fine without needing to log-in. I'm wondering if there is just some magic setting I've forgotten or something.